Stir together the apple, pecans, salad dressing, and sour cream; set aside. Place a slice of Colby cheese onto 4 of the bread slices, the add the ham, followed by the remaining slice of cheese and bread. Spread the margarine on the outside of the sandwiches.
Place the sandwiches into a large skillet and cook over medium-high heat until the bread is golden brown on both sides and the cheese has melted, about 3 minutes per side. Spread the apple mixture into the middle of each sandwich before serving.